Results 81 to 90 of about 3,126,721 (184)

Robust Mean–Variance Portfolio Optimization: Mean–Variance–Variance Criterion Versus Mean–Variance–Standard Deviation Criterion

Mathematical Finance, EarlyView.
ABSTRACT We study a dynamic portfolio optimization problem under the mean–variance–variance (M‐V‐V) criterion proposed by Maccheroni et al. It is an analogue of the Arrow–Pratt approximation to the well‐known smooth ambiguity model. Under the standard Black–Scholes framework, we derive fully explicit equilibrium investment strategies in which a DM's ...
David Landriault, Bin Li, Yuanyuan Zhang
wiley   +1 more source

"The Contributions of Professors Fischer Black, Robert Merton, and Myron Scholes to the Financial Services Industry" [PDF]

This paper is written as a tribute to Professors Robert Merton and Myron Scholes, winners of the 1997 Nobel Prize in economics, as well as to their collaborator, the late Professor Fischer Black.
Terry Marsh, Takao Kobayashi
core  

On the Exact Limiting Distribution of a Volatility Target Index

Mathematical Finance, EarlyView.
ABSTRACT Assuming a lognormal distribution for the underlying risky asset, we study the limiting distribution of a volatility target index as the rebalancing time step approaches zero. Two limit theorems (a strong law of large numbers and a central limit theorem) are established, and as an application, the exact limiting distribution is derived.
Xuan Liu, Michel Gauthier
wiley   +1 more source

Information‐Theoretic Approach to Financial Market Modeling

Mathematical Finance, EarlyView.
ABSTRACT The paper treats the financial market as a communication system, using four information‐theoretic assumptions to derive an idealized model with only one parameter. State variables are scalar stationary diffusions. The model maximizes the surprisal of the market and minimizes the Kullback–Leibler divergence between the benchmark‐neutral pricing
Eckhard Platen
wiley   +1 more source

Accurate and Efficient Computations of the Greeks for Options Near Expiry Using the Black-Scholes Equations

Discrete Dynamics in Nature and Society, 2016
We investigate the accurate computations for the Greeks using the numerical solutions of the Black-Scholes partial differential equation. In particular, we study the behaviors of the Greeks close to the maturity time and in the neighborhood around the ...
Darae Jeong, Minhyun Yoo, Junseok Kim
doaj   +1 more source

On Short‐Term Behavior of Implied Volatility for Index Options

Mathematical Finance, EarlyView.
ABSTRACT This paper investigates short‐term behavior of implied volatility of derivatives written on a market index when the index is constructed using a ranking procedure. Even when stock prices follow geometric Brownian motion dynamics, the ranking mechanism can lead to the observed term structure of at‐the‐money (ATM) implied volatility skew for ...
Huy N. Chau, Duy Nguyen, Thai Nguyen
wiley   +1 more source

Modified Heisenberg Commutation Relations, Free Schrödinger Equations, Tunnel Effect and Its Connections with the Black–Scholes Equation

Axioms
This paper explores the implications of modifying the canonical Heisenberg commutation relations over two simple systems, such as the free particle and the tunnel effect generated by a step-like potential.
Mauricio Contreras González, Roberto Ortiz Herrera, José González Suárez   +2 more
doaj   +1 more source

Fading Attention and the Pricing of Default Risk in the German Market for Structured Products

Journal of Futures Markets, Volume 46, Issue 10, Page 1787-1808, October 2026.
ABSTRACT Structured retail products are unsecured bonds subject to the default risk of the issuer. We analyze the price‐setting policy of issuers with respect to this default risk. Using a long‐term data set of discount certificates in the German market, we apply a time series IVX‐approach to find that (i) quoted prices do depend on issuer default risk,
Rainer Baule, Falk Jensen
wiley   +1 more source

Lie Symmetry Analysis of a Nonlinear Black–Scholes Equation in Illiquid Markets

International Journal of Mathematics and Mathematical Sciences
We have conducted comprehensive Lie symmetry analysis of a nonlinear Black–Scholes equation that arises in illiquid markets. The equation incorporates nonlinearities arising from market constraints, such as transaction costs and liquidity effects.
Winter Sinkala
doaj   +1 more source

The Riccati System and a Diffusion-Type Equation

Mathematics, 2014
We discuss a method of constructing solutions of the initial value problem for diffusion-type equations in terms of solutions of certain Riccati and Ermakov-type systems. A nonautonomous Burgers-type equation is also considered. Examples include, but are
Erwin Suazo, Sergei K. Suslov, José M. Vega-Guzmán   +2 more
doaj   +1 more source